How Market Prices React to Information
Evidence from Binary Options Markets
Datos Bibliográficos
| ID | 9713693 |
|---|---|
| Autores | Romain Gauriot (0000-0002-7633-7086, Deakin University), Leo Page (0000-0002-6020-9733, The University of Queensland), Lionel Page (The University of Queensland) |
| Año | 2025 |
| Fecha de publicación | 2025-06-10 |
| Peer Reviewed | Sí |
| Open Access | Sí |
| Tipo | ARTICLE |
| Revista | The Economic Journal (JOURNAL) |
| Identificadores de la revista | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Editorial | Oxford University Press (PUBLISHER • GB) |
| DOI | 10.1093/ej/ueaf040 |
| OpenAlex | W4411176119 |
| Idioma | EN |
| Referencias citadas | 58 |
Using a natural experiment setting in binary options markets, we compare the evolution of market prices in situations where the occurrence of public information shocks is contingent on knife-edge conditions and can be considered nearly random. We find that prices mostly react efficiently and quickly to information shocks, adjusting to the new fundamental value. Nonetheless, we observe a tendency for prices to initially under-react when the information shocks are large. This under-reaction is short-lived
Business · Economics · Financial economics · Monetary economics · Financial Markets and Investment Strategies
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| Velocidad de citación | historical |
|---|---|
| Altamente citado | No |